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tests: fix test and improve coverage

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This commit is contained in:
Meng Xiangzhuo
2024-10-30 09:59:13 +08:00
parent e49b5b03db
commit a417698fcd
7 changed files with 134 additions and 73 deletions
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3
freqtrade/exchange/binance.py
View File

@@ -142,14 +142,13 @@ class Binance(Exchange):
timeframe=timeframe,
since_ms=since_ms,
until_ms=until_ms,
stop_on_404=True,
stop_on_404=False,
)
)
if df.empty:
rest_since_ms = since_ms
else:
rest_since_ms = dt_ts(df.iloc[-1].date) + timeframe_to_msecs(timeframe)
if until_ms and rest_since_ms > until_ms:
rest_df = DataFrame()
else:

16
freqtrade/exchange/binance_public_data.py
View File

@@ -39,7 +39,8 @@ async def fetch_ohlcv(
:candle_type: Currently only spot and futures are supported
:param until_ms: `None` indicates the timestamp of the latest available data
:param stop_on_404: Stop to download the following data when a 404 returned
:return: None if no data available in the time range
:return: the date range is between [since_ms, until_ms),
return None if no data available in the time range
"""
if candle_type == CandleType.SPOT:
asset_type = "spot"
@@ -57,7 +58,14 @@ async def fetch_ohlcv(
end = min(end, last_available_date)
if start >= end:
return DataFrame()
return await _fetch_ohlcv(asset_type, symbol, timeframe, start, end, stop_on_404)
df = await _fetch_ohlcv(asset_type, symbol, timeframe, start, end, stop_on_404)
logger.info(
f"Downloaded data for {pair} from https://data.binance.vision/ with length {len(df)}."
)
if not df.empty:
return df.loc[(df["date"] >= start) & (df["date"] < end)]
else:
return df
def symbol_ccxt_to_binance(symbol: str) -> str:
@@ -149,7 +157,7 @@ async def get_daily_ohlcv(
date: datetime.date,
session: aiohttp.ClientSession,
retry_count: int = 3,
) -> DataFrame | None:
) -> DataFrame | None | Exception:
"""
Get daily OHLCV from https://data.binance.vision
See https://github.com/binance/binance-public-data
@@ -199,4 +207,4 @@ async def get_daily_ohlcv(
retry += 1
if retry >= retry_count:
logger.debug(f"Failed to get data from {url}: {e}")
raise
return e

2
freqtrade/exchange/exchange.py
View File

@@ -2246,7 +2246,7 @@ class Exchange:
candle_type=candle_type,
)
)
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
logger.info(f"Downloaded data for {pair} from ccxt with length {len(data)}.")
return ohlcv_to_dataframe(data, timeframe, pair, fill_missing=False, drop_incomplete=True)
async def _async_get_historic_ohlcv(

73
tests/exchange/test_binance.py
View File

@@ -1,4 +1,4 @@
from datetime import datetime, timedelta, timezone
from datetime import datetime, timedelta
from random import randint
from unittest.mock import AsyncMock, MagicMock, PropertyMock
@@ -8,9 +8,10 @@ import pytest
from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
from freqtrade.exchange.exchange_utils_timeframe import timeframe_to_seconds
from freqtrade.persistence import Trade
from freqtrade.util.datetime_helpers import dt_from_ts, dt_ts, dt_utc
from tests.conftest import EXMS, get_mock_coro, get_patched_exchange, log_has_re
from tests.conftest import EXMS, get_patched_exchange
from tests.exchange.test_exchange import ccxt_exceptionhandlers
@@ -733,17 +734,17 @@ def test__set_leverage_binance(mocker, default_conf):
)
def make_storage(start: datetime, end: datetime, timeframe: str = "1min"):
date = pd.date_range(start, end, freq=timeframe)
def make_storage(start: datetime, end: datetime, timeframe: str):
date = pd.date_range(start, end, freq=timeframe.replace("m", "min"))
df = pd.DataFrame(
data=dict(date=date, open=1.0, high=1.0, low=1.0, close=1.0),
)
return df
def patch_ohlcv(mocker, start, archive_end, api_end):
archive_storage = make_storage(start, archive_end)
api_storage = make_storage(start, api_end)
def patch_ohlcv(mocker, start, archive_end, api_end, timeframe):
archive_storage = make_storage(start, archive_end, timeframe)
api_storage = make_storage(start, api_end, timeframe)
ohlcv = [[dt_ts(start), 1, 1, 1, 1]]
# (pair, timeframe, candle_type, ohlcv, True)
@@ -768,6 +769,7 @@ def patch_ohlcv(mocker, start, archive_end, api_end):
timeframe,
since_ms,
until_ms,
stop_on_404=False,
):
since = dt_from_ts(since_ms)
until = dt_from_ts(until_ms) if until_ms else archive_end + timedelta(seconds=1)
@@ -909,11 +911,22 @@ def patch_ohlcv(mocker, start, archive_end, api_end):
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59),
dt_utc(2020, 1, 1, 23),
False,
False,
True,
),
(
"1m",
False,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 3, 50, 30),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 3, 50),
False,
True,
False,
),
],
)
def test_get_historic_ohlcv_binance(
@@ -935,7 +948,7 @@ def test_get_historic_ohlcv_binance(
archive_end = dt_utc(2020, 1, 2)
api_end = dt_utc(2020, 1, 3)
candle_mock, api_mock, archive_mock = patch_ohlcv(
mocker, start=start, archive_end=archive_end, api_end=api_end
mocker, start=start, archive_end=archive_end, api_end=api_end, timeframe=timeframe
)
candle_type = CandleType.SPOT
@@ -952,6 +965,9 @@ def test_get_historic_ohlcv_binance(
else:
assert df["date"].iloc[0] == first_date
assert df["date"].iloc[-1] == last_date
assert (
df["date"].diff().iloc[1:] == timedelta(seconds=timeframe_to_seconds(timeframe))
).all()
if candle_called:
candle_mock.assert_called_once()
@@ -961,45 +977,6 @@ def test_get_historic_ohlcv_binance(
api_mock.assert_called_once()
@pytest.mark.xfail(reason="Need refactor")
@pytest.mark.parametrize("candle_type", [CandleType.MARK, ""])
async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, candle_type):
ohlcv = [
[
int((datetime.now(timezone.utc).timestamp() - 1000) * 1000),
1, # open
2, # high
3, # low
4, # close
5, # volume (in quote currency)
]
]
exchange = get_patched_exchange(mocker, default_conf, exchange="binance")
# Monkey-patch async function
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pair = "ETH/BTC"
respair, restf, restype, res, _ = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=False, candle_type=candle_type
)
assert respair == pair
assert restf == "5m"
assert restype == candle_type
# Call with very old timestamp - causes tons of requests
assert exchange._api_async.fetch_ohlcv.call_count > 400
# assert res == ohlcv
exchange._api_async.fetch_ohlcv.reset_mock()
_, _, _, res, _ = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=True, candle_type=candle_type
)
# Called twice - one "init" call - and one to get the actual data.
assert exchange._api_async.fetch_ohlcv.call_count == 2
assert res == ohlcv
assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog)
@pytest.mark.parametrize(
"pair,notional_value,mm_ratio,amt",
[

92
tests/exchange/test_binance_public_data.py
View File

@@ -13,6 +13,7 @@ from freqtrade.exchange.binance_public_data import (
BadHttpStatus,
fetch_ohlcv,
get_daily_ohlcv,
symbol_ccxt_to_binance,
zip_name,
)
from freqtrade.util.datetime_helpers import dt_ts, dt_utc
@@ -93,10 +94,18 @@ def make_response_from_url(start_date, end_date):
@pytest.mark.parametrize(
"since,until,first_date,last_date,stop_on_404",
"candle_type,since,until,first_date,last_date,stop_on_404",
[
(dt_utc(2020, 1, 1), dt_utc(2020, 1, 2), dt_utc(2020, 1, 1), dt_utc(2020, 1, 2, 23), False),
(
CandleType.SPOT,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23),
False,
),
(
CandleType.SPOT,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59, 59),
dt_utc(2020, 1, 1),
@@ -104,6 +113,7 @@ def make_response_from_url(start_date, end_date):
False,
),
(
CandleType.SPOT,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 5),
dt_utc(2020, 1, 1),
@@ -111,6 +121,7 @@ def make_response_from_url(start_date, end_date):
False,
),
(
CandleType.SPOT,
dt_utc(2019, 1, 1),
dt_utc(2020, 1, 5),
dt_utc(2020, 1, 1),
@@ -118,6 +129,7 @@ def make_response_from_url(start_date, end_date):
False,
),
(
CandleType.SPOT,
dt_utc(2019, 1, 1),
dt_utc(2019, 1, 5),
None,
@@ -125,6 +137,7 @@ def make_response_from_url(start_date, end_date):
False,
),
(
CandleType.SPOT,
dt_utc(2021, 1, 1),
dt_utc(2021, 1, 5),
None,
@@ -132,6 +145,7 @@ def make_response_from_url(start_date, end_date):
False,
),
(
CandleType.SPOT,
dt_utc(2020, 1, 2),
None,
dt_utc(2020, 1, 2),
@@ -139,20 +153,44 @@ def make_response_from_url(start_date, end_date):
False,
),
(
CandleType.SPOT,
dt_utc(2019, 1, 1),
dt_utc(2020, 1, 5),
None,
None,
True,
),
(
CandleType.SPOT,
dt_utc(2020, 1, 5),
dt_utc(2020, 1, 1),
None,
None,
False,
),
(
CandleType.FUTURES,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59, 59),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23),
False,
),
(
CandleType.INDEX,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59, 59),
None,
None,
False,
),
],
)
async def test_fetch_ohlcv(mocker, since, until, first_date, last_date, stop_on_404):
async def test_fetch_ohlcv(mocker, candle_type, since, until, first_date, last_date, stop_on_404):
history_start = dt_utc(2020, 1, 1).date()
history_end = dt_utc(2020, 1, 3).date()
candle_type = CandleType.SPOT
pair = "BTC/USDT"
timeframe = "1h"
pair = "BTCUSDT"
since_ms = dt_ts(since)
until_ms = dt_ts(until)
@@ -160,13 +198,32 @@ async def test_fetch_ohlcv(mocker, since, until, first_date, last_date, stop_on_
mocker.patch(
"aiohttp.ClientSession.get", side_effect=make_response_from_url(history_start, history_end)
)
df = await fetch_ohlcv(candle_type, pair, timeframe, since_ms, until_ms, stop_on_404)
if df.empty:
assert first_date is None and last_date is None
if candle_type in [CandleType.SPOT, CandleType.FUTURES]:
df = await fetch_ohlcv(candle_type, pair, timeframe, since_ms, until_ms, stop_on_404)
if df.empty:
assert first_date is None and last_date is None
else:
assert df["date"].iloc[0] == first_date
assert df["date"].iloc[-1] == last_date
else:
assert df["date"].iloc[0] == first_date
assert df["date"].iloc[-1] == last_date
with pytest.raises(ValueError):
await fetch_ohlcv(candle_type, pair, timeframe, since_ms, until_ms, stop_on_404)
async def test_fetch_ohlcv_exc(mocker):
timeframe = "1h"
pair = "BTCUSDT"
since_ms = dt_ts(dt_utc(2020, 1, 1))
until_ms = dt_ts(dt_utc(2020, 1, 2))
mocker.patch("aiohttp.ClientSession.get", side_effect=RuntimeError)
df = await fetch_ohlcv(CandleType.SPOT, pair, timeframe, since_ms, until_ms)
assert df.empty
async def test_get_daily_ohlcv(mocker, testdatadir):
@@ -197,9 +254,16 @@ async def test_get_daily_ohlcv(mocker, testdatadir):
mocker.patch("aiohttp.ClientSession.get", return_value=MockResponse(b"", 500))
mocker.patch("asyncio.sleep")
with pytest.raises(BadHttpStatus):
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session)
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session)
assert isinstance(df, BadHttpStatus)
mocker.patch("aiohttp.ClientSession.get", return_value=MockResponse(b"nop", 200))
with pytest.raises(zipfile.BadZipFile):
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session)
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session)
assert isinstance(df, zipfile.BadZipFile)
def test_symbol_ccxt_to_binance():
assert symbol_ccxt_to_binance("BTC/USDT") == "BTCUSDT"
assert symbol_ccxt_to_binance("BTC/USDT:USDT") == "BTCUSDT"
with pytest.raises(ValueError):
assert symbol_ccxt_to_binance("BTC:USDT:USDT") == "BTCUSDT"

2
tests/exchange/test_exchange.py
View File

@@ -2124,7 +2124,7 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_
assert exchange._async_get_candle_history.call_count == 2
# Returns twice the above OHLCV data after truncating the open candle.
assert len(ret) == 2
assert log_has_re(r"Downloaded data for .* with length .*\.", caplog)
assert log_has_re(r"Downloaded data for .* from ccxt with length .*\.", caplog)
caplog.clear()

19
tests/exchange_online/test_binance_compare_ohlcv.py
View File

@@ -1,10 +1,23 @@
"""
Check if the earliest klines from rest API have its counterpart on https://data.binance.vision
Not expected to run in CI, manually run from shell:
Not expected to run in CI
TEST_BINANCE_COMPARE_OHLCV=1 pytest tests/exchange_online/test_binance_compare_ohlcv.py
Manually run from shell:
TEST_BINANCE_COMPARE_OHLCV=1 pytest tests/exchange_online/test_binance_compare_ohlcv.py
Until 2024-10-30, there are three usdt-m futures symbols "lack" data
All SPOT symbols are good.
BTCUSDT-1m 113 days
ARCHIVE: 2019-12-31 00:00:00 │ 2024-10-30 02:51:00 │ 2541772
API: 2019-09-08 17:57:00 │ 2024-10-30 03:11:00 │ 2704874
ETHUSDT 34 days
ARCHIVE: 2019-12-31 00:00:00 │ 2020-02-29 23:59:00 │ 87840
API: 2019-11-27 07:45:00 │ 2020-03-01 11:03:00 │ 136999
BCHUSDT 12 days
ARCHIVE: 2019-12-31 00:00:00 │ 2020-02-29 23:59:00 │ 87840
API: 2019-12-19 08:57:00 │ 2020-03-01 06:55:00 │ 104999
"""
import asyncio